CBOE DJIA Volatility Index Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
42.39%
1 Week
46.93%
1 Month
61.02%
Analysis last updated: Tuesday, October 13, 2026 at 11:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 6, 1997 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 69% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.12 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3028 | 2.56** |
| αARCH | 0.1447 | 7.39*** |
| βGARCH | 0.8437 | 37.32*** |
| γleverage | -0.2294 | -3.74*** |
| δpower | 1.1199 | 6.99*** |
0.961
Persistence17d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3028 | 2.56** |
α ARCH Response to squared shocks | 0.1447 | 7.39*** |
β GARCH Volatility persistence | 0.8437 | 37.32*** |
γ leverage Additional response to negative shocks | -0.2294 | -3.74*** |
δ power Transformation power | 1.1199 | 6.99*** |
Persistence:
0.961
Half-life:
17 days
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